EDIT:
Answer is incomplete - I’ve left the old answer as a monument to my hastiness below.
FTransform has functions GetRelativeTransform)( and GetRelativeTransformReverse() which can be used to go from local to world and vice versa.
To get the local axes you can use the GetScaledAxis method below.
Old Answer:
I’m not sure about your terminology as local velocity does not really make sense here, so I assume you’re asking for the Global Velocity in the airplane’s orientation axes?
If so, you can use the following:
FRotationMatrix(GetActorRotation()).GetScaledAxis(EAxis::X)
You can obviously use EAxis::Y, EAxis::Z as well for left/right and up/down.